...Juheon Seok; B. Wade Brorsen; Bart Niyibizi Purpose The purpose of this paper is to derive a new option pricing model for options on futures calendar spreads. Calendar spread option volume has been low and a more precise model to price them could lead to lower bid-ask spreads as well as more...

...Gabriel J. Power Purpose – The purpose of this paper is to review three papers in this issue and contribute new results on commodity futures prices and volume using wavelet analysis. Design/methodology/approach – The paper uses time series econometrics including variance ratio tests...

... in the cooperative. © Emerald Group Publishing Limited 2007 Cooperative Expected utility Futures Options Risk management Value‐at‐risk ...